Page 35 - 34-1

NTU Management Review Vol. 34 No. 1 Apr. 2024

SRG 26.18* 25.02* 23.76* 22.37* 20.83* 19.11* 17.16* 14.89 42.10** 40.43** 38.54** 36.37** 33.89** 31.01** 27.65* 23.66* 57.57*** 55.93*** 53.93*** 51.51*** 48.55*** 44.93*** 40.43*** 34.70***

OTM 10%, K = 55 SLN USD 26.21* 25.56 25.05* 24.42 23.79* 23.20 22.40* 21.87 20.87* 20.42 19.14* 18.80 17.18* 16.97 14.91 14.83 42.20** 39.65 40.53** 38.15 38.61** 36.46* 36.42** 34.55* 33.88** 32.37* 30.94** 29.85* 27.48* 26.87* 23.37* 23.19* 56.99*** 52.18 55.22*** 50.83* 53.06*** 49.17* 50.42*** 47.13* 47.20*** 44.61* 43.26** 41.47* 38.40** 37.50* 32.36*

MC 25.58 24.41 23.17 21.83 20.37 18.75 16.93 14.81 39.51 37.84 36.02 34.02 31.79 29.27 26.36 22.88 51.73 49.87 47.79 45.42 42.69 39.51 35.72 30.99

SRG 28.27* 27.10* 25.83* 24.44* 22.89* 21.17* 19.23* 17.00 43.95** 42.27** 40.36** 38.18** 35.68** 32.79** 29.42* 25.43* 59.21*** 57.55*** 55.55*** 53.11*** 50.14*** 46.51*** 42.00*** 36.27***
Table 8 Values of Spread Calls (T = 2)

SLN 28.29* 27.13* 25.86* 24.46* 22.92* 21.19* 19.24* 16.99 44.04** 42.34** 40.41** 38.19** 35.63** 32.66** 29.19* 25.07* 58.56** 56.77*** 54.59*** 51.93*** 48.68** 44.72** 39.83** 33.76*
ATM,K = 50

USD Panel A: σ = 30% 27.68 26.54 25.31 23.98 22.52 20.91 19.07 16.94 Panel B: σ = 50% 41.60 40.09 38.39* 36.46* 34.27* 31.72* 28.69* 24.96* Panel C: σ = 70% 54.00 52.63* 50.96* 48.89* 46.35* 43.18** 39.15** 33.81* Note: The basket is composed of two assets, defined by GB = S 1 ─S 2 . The relevant parameters are presented as follows: S 1 (0) = 100, S 2 (0) = 50, q 1 = q 2 = 0

MC 27.69 26.52 25.27 23.92 22.46 20.84 19.02 16.91 41.44 39.74 37.90 35.87 33.61 31.06 28.12 24.61 53.50 51.60 49.48 47.07 44.30 41.07 37.23 32.44 PPE is lower than 1%. RMSE (USD, SLN, SRG) = (0.98, 2.72, 3.40) and MAE (USD, SLN, SRG) = (2.24, 5.35, 6.15).

SRG 30.47* 29.30* 28.03* 26.64* 25.11* 23.41* 21.49 19.33 45.87** 44.18** 42.26** 40.07** 37.55** 34.66** 31.30* 27.33* 60.89*** 59.23*** 57.22*** 54.77*** 51.79*** 48.15*** 43.65*** 37.94***

ITM 10%, K = 45 SLN USD 30.49* 29.92 29.32* 28.78 28.05* 27.56 26.66* 26.24 25.13* 24.79 23.42* 23.19 21.49 21.38 19.30 19.29 45.94** 43.64 44.24** 42.12 42.28** 40.41* 40.05** 38.48* 37.47** 36.26* 34.49* 33.70* 31.00* 30.65* 26.89* 26.88* 60.17** 55.89 58.36** 54.51* 56.16** 52.82* 53.49** 50.74* 50.22** 48.17* 46.23** 44.97** 41.33** 40.89** 35.25* 35.48

MC 29.93 28.76 27.51 26.17 24.71 23.10 21.31 19.25 43.46 41.75 39.88 37.83 35.55 32.98 30.02 26.49 55.35 53.41 51.25 48.81 46.00 42.73 38.83 34.00

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7 -0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

ρ ρ ρ

27